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The deep multi-FBSDE method: a robust deep learning method for coupled FBSDEs

Published: March 17, 2025 | arXiv ID: 2503.13193v3

By: Kristoffer Andersson, Adam Andersson, Cornelis W. Oosterlee

Potential Business Impact:

Solves hard math problems computers couldn't before.

Business Areas:
A/B Testing Data and Analytics

We introduce the deep multi-FBSDE method for robust approximation of coupled forward-backward stochastic differential equations (FBSDEs), focusing on cases where the deep BSDE method of Han, Jentzen, and E (2018) fails to converge. To overcome the convergence issues, we consider a family of FBSDEs that are equivalent to the original problem in the sense that they satisfy the same associated partial differential equation (PDE). Our algorithm proceeds in two phases: first, we approximate the initial condition for the FBSDE family, and second, we approximate the original FBSDE using the initial condition approximated in the first phase. Numerical experiments show that our method converges even when the standard deep BSDE method does not.

Country of Origin
🇮🇹 Italy

Page Count
19 pages

Category
Mathematics:
Numerical Analysis (Math)